This in particular is almost certainly a library path issue. A quick way to
check to see if your LD_LIBRARY_PATH is correct is to run:
$ mpirun <whatever args you want to test> ldd
<ompi_install_path>/lib/openmpi/mca_mtl_mx.so

If things are good, you will get a first line like:
libmyriexpress.so => /opt/mx/lib/libmyriexpress.so (0xb7f1d000)

If not, it will tell you explicitly. Since all you specified is
the --prefix line, I'm not surprised libmyriexpress.so is not found in this
case.
-reese